Alejandro Raúl Hernández-Montoya

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On fitting the Pareto-Levy distribution to stock market index data: selecting a suitable cutoff value. Abstract. The so-called Pareto-Levy or power-law distribution has been successfully used as a model to describe probabilities associated to extreme variations of worldwide stock markets indexes data and it has the form P r(X > x) ≃ x −α for γ < x < ∞. The(More)
It is well known that there exist statistical and structural differences between the stock markets of developed and emerging countries. In this work, we present an analysis of the variations and autocorrelations of the Mexican Stock Market index (IPC) for different periods of its historical daily data, showing evidence that the Mexican Stock Market has been(More)
The Boltzmann–Gibbs and Tsallis entropies are essential concepts in statistical physics, which have found multiple applications in many engineering and science areas. In particular, we focus our interest on their applications to image processing through information theory. We present in this article a novel numeric method to calculate the Tsallis entropic(More)
We explore the spatial complexity of Conway's "Game of Life," a prototypical cellular automaton by means of a geometrical procedure generating a two-dimensional random walk from a bidimensional lattice with periodical boundaries. The one-dimensional projection of this process is analyzed and it turns out that some of its statistical properties resemble the(More)
In the present work, a geometrical method to generate a two dimensional random walk by means of a bidimensional Cellular Automaton is presented. We illustrate it by means of Conway's Game of Life with periodical borders, with a large lattice of 3000 × 3000 cells. The obtained random walk is of character anomalous, and its projection to a one dimensional(More)
One of the most popular lottery games worldwide is the so-called " lotto k/N ". It considers N numbers 1, 2,. .. , N from which k are drawn randomly, without replacement. A player selects k or more numbers and the first prize is shared amongst those players whose selected numbers match all of the k randomly drawn. Exact rules may vary in different(More)
Testing symmetry of a probability distribution is a common question arising from applications in several fields. Particularly, in the study of observables used in the analysis of stock market index variations, the question of symmetry has not been fully investigated by means of statistical procedures. In this work a distribution-free test statistic T n for(More)
In this work, a statistical analysis of the daily logarithm variation of the IPC, the Mexican Stock Market Index is presented. A sample covering a period of 13 years, from 04/01/1990 to 08/21/2003 was analyzed and its Cumulative Probability Distribution studied. It was found that the Cumulative Distribution Function for extreme variations, can be properly(More)
In the spirit of the emergent field of econophysics, a goodness-of-fit test for the Power-Law distribution, based on the Empirical Distribution Function (EDF) is presented, and related problems are discussed. An analysis of the tail behaviour of the daily logarithmic variation of the Mexican Stock Market Index (IPC), showed distributional properties which(More)
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